CC Athena OS : Investment Program (Institutional EURO class) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Feb Performance 0.88% Min Investment € 5,000k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 6.21% Sharpe (RFR=1%) 0.97 CAROR 7.05% Assets € 119.1M Worst DD -11.47 S&P Correlation -0.07 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page Growth of 1,000 - VAMI Monthly Performance Export Data Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Period Returns Program / Index Feb Qtr YTD 1yr 3yr 5yr 10yr Since2/2005 Investment Program (Institutional EURO class) 0.88 - - - - - - 23.38 S&P 500 -3.48 - - - - - - 205.40 +/- S&P 500 4.36 - - - - - - -182.03 Strategy Description Summary-The strategy is an options trading system that trades currently complex option strategies on S&P500 Futures Options (SPX options will be traded to complete and supplement the futures options) with the goal to generate a positive absolute return in any given market environment. &The... Read More Account & Fees Type Managed Account Minimum Investment € 5,000k Trading Level Incremental Increase € 0k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $6.00 Available to US Investors Subscriptions High Water Mark No Subscription Frequency Redemption Frequency Investor Requirements Lock-up Period 0 Trading Trading Frequency 1200 RT/YR/$M Avg. Margin-to-Equity 30% Targeted Worst DD Worst Peak-to-Trough 0% Sector Focus Not Specified Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days Intraday 0% Decision-Making Discretionary 0% Systematic 0% Strategy Summary-The strategy is an options trading system that trades currently complex option strategies on S&P500 Futures Options (SPX options will be traded to complete and supplement the futures options) with the goal to generate a positive absolute return in any given market environment. &The strategy was developed out of a proprietary trading program of CCPM that was first implemented in 1995. Ever since then, the strategy was subject to a constant process of research and development, which led from a classical options writing strategy (Short Selling from June 1998 to July 2002) to a complex options strategy (since August 2002) that is based on a fixed set of possible strategies and follows a systematic trading approach. &CCPM trades the strategy with the final set of rules that it involves today since August 2002. It utilises a combination of bought and sold options in the front month of the S&P 500 index. If the front month has only a maturity of 2-3 weeks to expiration of the front month, the program trades the next option month. Under regular trading conditions, these strategies will be held close to the expiry of the options contracts. Changes to the positions will only be made if either the risk management model or the position management rules would require such a change. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual Reward Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Reward Compound RoR: Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year. Drawdown Report Depth Length (Mos.) Recovery (Mos.) Peak Valley -11.47 3 9 1/1/2007 4/1/2007 -1.30 1 2 3/1/2005 4/1/2005 -0.28 1 1 6/1/2006 7/1/2006 -0.27 1 1 9/1/2005 10/1/2005 -0.14 1 1 10/1/2006 11/1/2006 -0.09 1 1 12/1/2005 1/1/2006 -0.06 1 1 6/1/2005 7/1/2005 Show More Consecutive Gains Run-up Length (Mos.) Start End 11.79 7 8/1/2007 2/1/2008 6.34 5 2/1/2006 6/1/2006 4.24 2 5/1/2007 6/1/2007 3.91 2 8/1/2005 9/1/2005 2.79 2 11/1/2005 12/1/2005 2.45 2 12/1/2006 1/1/2007 2.42 2 2/1/2005 3/1/2005 1.50 3 8/1/2006 10/1/2006 1.44 2 5/1/2005 6/1/2005 Show More Consecutive Losses Run-up Length (Mos.) Start End -11.47 3 2/1/2007 4/1/2007 -1.30 1 4/1/2005 4/1/2005 -0.42 1 7/1/2007 7/1/2007 -0.28 1 7/1/2006 7/1/2006 -0.27 1 10/1/2005 10/1/2005 -0.14 1 11/1/2006 11/1/2006 -0.09 1 1/1/2006 1/1/2006 -0.06 1 7/1/2005 7/1/2005 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year Number of Periods37.0035.0032.0026.0020.0014.00 Percent Profitable72.9788.5778.1365.38100.00100.00 Average Period Return0.591.703.144.647.259.32 Average Gain1.342.835.728.997.259.32 Average Loss-1.44-7.12-6.10-3.58 Best Period2.436.6310.8113.1017.1920.09 Worst Period-5.84-11.47-9.43-5.770.124.40 Standard Deviation1.793.695.516.856.633.93 Gain Standard Deviation0.741.502.173.726.633.93 Loss Standard Deviation2.253.913.271.73 Sharpe Ratio (1%)0.280.390.480.530.871.86 Average Gain / Average Loss0.930.400.942.51 Profit / Loss Ratio2.503.093.354.74 Downside Deviation (10%)1.473.054.265.264.342.74 Downside Deviation (5%)1.362.743.402.860.40 Downside Deviation (0%)1.342.663.192.32 Sortino Ratio (10%)0.120.150.16-0.07-0.08-0.34 Sortino Ratio (5%)0.370.530.781.2714.29 Sortino Ratio (0%)0.440.640.982.00 Top Performer Badges Index Award Type Rank Performance Period Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel